is there some place i have to go to or something?

a courier delivers a couple of items to you. you could just fast travel to whiterun and one should find you quickly.

According to some of the people who have played, you get a letter from a courier, and the Yarl of Falkreath wants to sell you a plot of land.

The courier is only a hint to get you started, you can just talk the the Jarl's steward for each of the three holds selling land and buy the plots

Falkreath is the first home you get i guess.



Go to whiterun it's like that Theives guild, wait in the Imperial City